Assuming that the file names start with 'feature' and that the variable is named 'features' in each of them:
dinfo = dir('feature*.mat');
numfile = length(dinfo);
featcell = cell(numfile, 1);
for K = 1 : numfile
thisfile = dinfo(K).name;
datastruct = load(thisfile, 'features');
featcell{K} = datastruct.features;
end
features = cell2mat(featcell);
